We demonstrate an application of gray scale electron beam lithography (EBL) for the fabrication of polymer waveguides and grating output couplers with depth variable features, using the SU-8 resist. The technique is mainly applicable for multi-level binary profile, where groove depths of the structure are controlled by choosing a proper exposure dose. Unlike reactive ion etching which is limited by the lag effect, the gray scale EBL allows free combination of groove widths and depths. Shrinking effect which is critical in polymer couplers' writing is taken into account and can be compensated. For better fabrication feasibility, the grating couplers can be simultaneously produced with waveguides with no inter-step alignment required. Therefore, this is a promising technique in manufacturing grating output couplers for polymer based waveguides with high performance in terms of mode matching/confinement and coupling efficiency.